Let's say someone wanted to sell a million shares.

Let's say someone wanted to sell a million shares. With an average volume of about 270,000 shares/day, they could feed in 50k shares a day without affecting things very much -- would only take 4 weeks to sell them. And no one with any sense would dump a lot of shares into the market all at once because it would mean they'd get less money for their shares because that would push the price down.